Abstract:
We analyze the dynamic linkage between fee-based income and bank performance linkage in the aftermath of the crisis. Surprisingly, our time series approach suggests that the share of fee-based income keeps contributing substantially to bank return on assets (ROA) and risk-adjusted ROA after the crisis. More precisely, our multivariate GARCH framework suggests that the comovements between ROA and fee-based income return are asymmetric¡ªi.e., crucially depend on the phase of the business cycle.